文章基本信息

标题：Dynamic Interdependence of Systematic Risks in Emerging Markets Economies: A Recursive-Based Frequency-Domain Approach
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作者：Emmanuel Asafo-Adjei ; Anokye M. Adam ; Anthony Adu-Asare Idun 等
期刊名称：Discrete Dynamics in Nature and Society
印刷版ISSN：1026-0226
电子版ISSN：1607-887X
出版年度：2022
卷号：2022
DOI：10.1155/2022/1139869
语种：English
出版社：Hindawi Publishing Corporation
摘要：We examine the interdependence of systematic risk in twenty emerging market economies. The interdependence structures are performed for subregional and regional categorizations of emerging markets, which have demonstrated financial openness over the years. Hence, the Kalman filter-based wavelet approach is adopted to execute the purpose of this study. The outcome from the contemporaneous correlations demonstrates that the degree of comovements among the equity betas varies. Moreover, from the wavelet multiple cross-correlations, Qatar, Brazil, Indonesia, and Czech Republic led for most timescales. Conversely, the equity betas of United Arab Emirates (Africa and Middle East), Argentina (Americas), China (Asia), and Russia (Europe) exhibit low degrees of integration with other systematic risk returns from each subregion. The low correlations, especially in the short term, of these countries within their respective regions signify less risk transmission and should be included in a portfolio of assets in determining investment risks. Generally, we find significant integration among systematic risks in emerging markets in the long term. We institute that the nature of interdependence in systematic risk has been heterogeneous across time. Accordingly, the equity betas increase with scale for most subregions and the emerging markets as a whole, implying that market interconnections heighten as the investment horizon is prolonged, revealing saturated markets with shocks. It is recommended that prudent liquidity policies are implemented to augment resilience to systematic risks susceptibilities in the long term. The findings present pertinent implications for portfolio diversification, policy decisions, investing risk, and risk management schemes.